Indices of migration and complicated drifts in macroprudential regulation
Grossman Yu.A.1
1 Российская академия народного хозяйства и государственной службы при Президенте РФ
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Journal paper
Russian Journal of Entrepreneurship *
Volume 19, Number 5 (May 2018)
* Этот журнал не выпускается в Первом экономическом издательстве
Abstract:
This article is devoted to the issue of the Russian system of macroprudential regulation with the help of indices of migration and complicated drift, based on matrices of rating migrations. The author revealed the need for the introduction of a new tool for forecasting crisis phenomena, resulting from the lack of predictive ability of the models used at the moment for these purposes. The article provides an analysis of international and domestic practice of macroprudential regulation, including the key principles and aspects of its implementation, as well as a comparative analysis of modern tools to identify the vulnerabilities of the financial system, including those used by the Bank of Russia. On the basis of the analysis it is established that the indices of migration and complicated drifts surpass other similar indicators in a number of parameters, without having their shortcomings, and thus can significantly strengthen the tools of Russian macroprudential regulation in terms of forecasting negative market trends, rapid assessment of the state of the economy and individual markets.
Keywords: economic cycle, systemic risk, rating migration matrix, macroprudential regulation, early warning index
JEL-classification: O10, O40, O11
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